A Practitioner's Guide to Discrete-Time Yield Curve...

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A Practitioner's Guide to Discrete-Time...

A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples

Name: A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples
ISBN: 9781108975537

Ken Nyholm

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This Element is intended for students and practitioners as a gentle and intuitive introduction to the ﬁeld of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.

Categorias:

Business & Economics

Ano:

2021

Editora:

Cambridge University Press

Idioma:

english

Páginas:

152

ISBN 10:

1108975534